Emergence of speculation in a hierarchical agent-based model

DOI10.1016/J.PHYSA.2023.128619MaRDI QIDQ6158877zbMATH OpenOpenAlexFDO

Authors David C. A. Meine, D. D. Vvedensky

Publication date 31 May 2023

Published in Physica A (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.physa.2023.128619

zbMATH Keywords

hierarchical modelagent-based modelscrashesLux-Marchesi modelspontaneous bubbles

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• scientific article; zbMATH DE number 2220883 (Why is no real title available?)
• Aggregate fluctuations from independent sectoral shocks: self-organized criticality in a model of production and inventory dynamics
• Discrete scale invariance in stock markets before crashes
• Empirical properties of asset returns: stylized facts and statistical issues
• Existence of a phase-transition in a one-dimensional Ising ferromagnet
• Multifractals, generalized scale invariance and complexity in geophysics
• Probability distribution of returns in the Heston model with stochastic volatility
• Statistical mechanics of cellular automata

Cited in

(3)

• Can Trend Followers Survive in the Long-Run% Insights from Agent-Based Modeling
• Emergence of heterogeneity in an agent-based model
• Kinetic model for asset allocation with strategy switching

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